Reduced-form framework for multiple ordered default times under model uncertainty
نویسندگان
چکیده
In this paper we introduce a sublinear conditional operator with respect to family of possibly nondominated probability measures in presence multiple ordered default times. way generalize the results Biagini and Zhang (2019), where reduced-form framework under model uncertainty for single time is developed. Moreover, use valuation credit portfolio derivatives uncertainty.
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2023
ISSN: ['1879-209X', '0304-4149']
DOI: https://doi.org/10.1016/j.spa.2022.11.003